This is absolutely fantastic. My husand is not a big fan of zucchini, but he loved this so much he took all the leftovers to work the next day.
I split the bun and toast it in the oven, as others mentioned. I also tore out a little bit of the crumb (the interior bread) to create a little hollow for the zucchini to go into; that way, there wasn't so much squirting out the sides. I've made it three times, each time adding something different (garlic, onions, crumbled bocca burger), but it's fabulous just the way it is, as well.